Abstract
This work is devoted to the study of modeling geophysical and financial time series. We propose a stochastic differential equation arising from the superposition of independent Ornstein–Uhlenbeck processes driven by a Γ(a,b) process. Superposition of independent Γ(a,b) Ornstein–Uhlenbeck processes offers analytic flexibility and provides a class of continuous time processes capable of exhibiting long memory behavior. The stochastic differential equation is applied to geophysics and finance by fitting the superposed Γ(a,b) Ornstein–Uhlenbeck model to typical geophysical and financial time series.
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